Seems to have evolved from "Fry in one's own grease". Line 487 of The Prologe of the Wyves Tale of Bathe by Chaucer has "in his owene grece I made him fry" (see http://www.scribd.com/doc/8734101/British-and-American-Literature-by-Liela-Borges, p. 101). According to Answers.com, the version you quote was in use by the second half of the 1800s.

Not the best answer in the world, but I thought I'd do something, as this has been sitting unanswered for a bit. (GC)